Eduardo Rossi : Citation Profile


Are you Eduardo Rossi?

Università degli Studi di Pavia

8

H index

6

i10 index

189

Citations

RESEARCH PRODUCTION:

18

Articles

22

Papers

RESEARCH ACTIVITY:

   25 years (1995 - 2020). See details.
   Cites by year: 7
   Journals where Eduardo Rossi has often published
   Relations with other researchers
   Recent citing documents: 43.    Total self citations: 10 (5.03 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pro257
   Updated: 2022-05-14    RAS profile: 2021-03-19    
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Relations with other researchers


Works with:

Bacchiocchi, Emanuele (3)

Santucci de Magistris, Paolo (3)

Bastianin, Andrea (3)

Missale, Alessandro (3)

Caporin, Massimiliano (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Eduardo Rossi.

Is cited by:

GUPTA, RANGAN (21)

Santucci de Magistris, Paolo (12)

Caporin, Massimiliano (7)

Gkillas (Gillas), Konstantinos (7)

Ruiz, Esther (6)

Su, Liangjun (5)

Lau, Chi Keung (5)

Wohar, Mark (5)

Nielsen, Morten (4)

Castagnetti, Carolina (4)

Hanousek, Jan (4)

Cites to:

Bollerslev, Tim (34)

Diebold, Francis (30)

Pesaran, M (25)

Andersen, Torben (23)

Tauchen, George (21)

Bai, Jushan (19)

Engle, Robert (17)

Nielsen, Morten (14)

Corsi, Fulvio (14)

Castagnetti, Carolina (10)

Gallant, A. (10)

Main data


Where Eduardo Rossi has published?


Journals with more than one article published# docs
Journal of Financial Econometrics2
Computational Statistics & Data Analysis2
Econometric Reviews2
Journal of Econometrics2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
DEM Working Papers Series / University of Pavia, Department of Economics and Management7
MPRA Paper / University Library of Munich, Germany3
"Marco Fanno" Working Papers / Dipartimento di Scienze Economiche "Marco Fanno"2

Recent works citing Eduardo Rossi (2021 and 2020)


YearTitle of citing document
2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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2020Robust portfolio selection using sparse estimation of comoment tensors. (2020). Vrins, Frédéric ; Lassance, Nathan. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020003.

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2021Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

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2021Interactive Effects Panel Data Models with General Factors and Regressors. (2021). Peng, Bin ; Yang, Yanrong ; Westerlund, Joakim ; Su, Liangjun. In: Papers. RePEc:arx:papers:2111.11506.

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2020Past managerial guidance and returns to variance trading around earnings announcements. (2020). Neururer, Thaddeus. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2995-3031.

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2022Periodic autoregressive conditional duration. (2022). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:5-29.

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2020Bayesian analysis of periodic asymmetric power GARCH models. (2020). Nacer, Demmouche ; Abdelhakim, Aknouche ; Nassim, Touche ; Stefanos, Dimitrakopoulos. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:4:p:24:n:5.

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2021Social media sentiment, model uncertainty, and volatility forecasting. (2021). Lehrer, Steven ; Zhang, Xinyu ; Xie, Tian. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001450.

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2021Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence. (2021). Pérez-Rodríguez, Jorge ; Perez-Rodriguez, Jorge V ; Rachinger, Heiko ; Andrada-Felix, Julian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s106294082100067x.

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2020Efficient estimation of heterogeneous coefficients in panel data models with common shocks. (2020). Cui, Guowei ; Li, Kunpeng ; Lu, Lina. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:327-353.

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2020Nearest comoment estimation with unobserved factors. (2020). Boudt, Kris ; Verdonck, Tim ; Cornilly, Dries. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:381-397.

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2020Panel threshold models with interactive fixed effects. (2020). Su, Liangjun ; Miao, KE. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:137-170.

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2021Revisiting the location of FDI in China: A panel data approach with heterogeneous shocks. (2021). Ouyang, Min ; Li, QI ; Hou, Lei. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:483-509.

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2021Spurious cross-sectional dependence in credit spread changes. (2021). McAleer, Michael ; Jaskowski, Marcin. In: Econometrics and Statistics. RePEc:eee:ecosta:v:18:y:2021:i:c:p:12-27.

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2022Reconciling mean-variance portfolio theory with non-Gaussian returns. (2022). Lassance, Nathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:2:p:729-740.

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2020A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends.. (2020). Golpe, Antonio ; Bravo, Jose Manuel ; Vides, Jose Carlos ; Iglesias, Jesus. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930341x.

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2020Moments-based spillovers across gold and oil markets. (2020). Lau, Chi Keung ; GUPTA, RANGAN ; Bonato, Matteo ; Wang, Shixuan ; Marco, Chi Keung. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301390.

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2021OPEC news and jumps in the oil market. (2021). Yoon, Seong-Min ; Pierdzioch, Christian ; Gupta, Rangan ; Gkillas, Konstantinos. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000013.

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2020Liquidity, implied volatility and tail risk: A comparison of liquidity measures. (2020). Righi, Marcelo Brutti ; Ramos, Henrique Pinto. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301071.

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2021Portfolio selection with parsimonious higher comoments estimation. (2021). Vrins, Frederic ; Lassance, Nathan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s037842662100073x.

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2021Managing exposure to volatile oil prices: Evidence from U.S. sectoral and industry-level data. (2021). Selmi, Refk ; bouoiyour, jamal ; Wohar, Mark E ; Miftah, Amal. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001574.

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2021Dynamic impact of the U.S. monetary policy on oil market returns and volatility. (2021). GUPTA, RANGAN ; Cakan, Esin ; Marfatia, Hardik A. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:159-169.

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2020The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach. (2020). Iglesias, Jesus ; Golpe, Antonio A ; Vides, Jose Carlos. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:124-137.

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2020125 ?Years of time-varying effects of fiscal policy on financial markets. (2020). GUPTA, RANGAN ; Marfatia, Hardik A ; Miller, Stephen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:303-320.

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2021El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements. (2021). Pierdzioch, Christian ; GUPTA, RANGAN ; Balcilar, Mehmet ; Bouri, Elie. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:14:p:7987-:d:596011.

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2021Real-Time Forecasting and Scenario Analysis Using a Large Mixed-Frequency Bayesian VAR. (2021). Sekhposyan, Tatevik ; Owyang, Michael ; McCracken, Michael W. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2021:q:5:a:8.

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2020Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging. (2020). Mi, Xianhua ; Ma, Chaoqun ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202016.

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2021A New Dynamic Mixture Copula Mechanism to Examine the Nonlinear and Asymmetric Tail Dependence Between Stock and Exchange Rate Returns. (2021). Chang, Kuang-Liang. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:4:d:10.1007_s10614-020-09981-5.

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2021Interactive Effects Panel Data Models with General Factors and Regressors. (2021). Yang, Yanrong ; Westerlund, Joakim ; Su, Liangjun ; Peng, Bin. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2021-23.

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2020Another look at the implied and realised volatility relation: a copula-based approach. (2020). Pérez-Rodríguez, Jorge ; Perez-Rodriguez, Jorge V. In: Risk Management. RePEc:pal:risman:v:22:y:2020:i:1:d:10.1057_s41283-019-00054-y.

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2020Periodic autoregressive conditional duration. (2020). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:101696.

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2020OPEC News and Jumps in the Oil Market. (2020). Yoon, Seong-Min ; Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:202053.

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2021Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina. In: Working Papers. RePEc:ptu:wpaper:w202102.

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2020Technical analysis based on high and low stock prices forecasts: evidence for Brazil using a fractionally cointegrated VAR model. (2020). MacIel, Leandro . In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1603-8.

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2020125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets. (2020). Miller, Stephen ; Marfatia, Hardik ; GUPTA, RANGAN. In: Working papers. RePEc:uct:uconnp:2020-12.

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2022A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market: Evidence from over a century of data. (2022). Salisu, Afees ; Ogbonna, Ahamuefula ; GUPTA, RANGAN. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:384-400.

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2021Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:36:y:2021:i:5:p:544-565.

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2020Cholesky–ANN models for predicting multivariate realized volatility. (2020). Bucci, Andrea. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:6:p:865-876.

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2020Cryptocurrency volatility forecasting: A Markov regime?switching MIDAS approach. (2020). M. I. M. Wahab, ; Ma, Yuanhui ; Liang, Chao. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:8:p:1277-1290.

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2021Intraday conditional value at risk: A periodic mixed?frequency generalized autoregressive score approach. (2021). Gribisch, Bastian ; Eckernkemper, Tobias. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:5:p:883-910.

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2022Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach. (2022). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi ; Wen, Danyan. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:230-251.

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2022Forecasting Bitcoin volatility: A new insight from the threshold regression model. (2022). Wang, Yudong ; Wen, Danyan ; He, Mengxi ; Zhang, Yaojie. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:3:p:633-652.

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2021Lighting up the dark: Liquidity in the German corporate bond market. (2021). Subrahmanyam, Marti G ; Schneider, Michael ; Pelizzon, Loriana ; Gunduz, Yalin. In: Discussion Papers. RePEc:zbw:bubdps:212021.

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Works by Eduardo Rossi:


YearTitleTypeCited
2009Long Memory and Tail dependence in Trading Volume and Volatility In: CREATES Research Papers.
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paper27
2013Long memory and tail dependence in trading volume and volatility.(2013) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 27
article
2009A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility In: CREATES Research Papers.
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paper3
2011Estimation of long memory in integrated variance In: CREATES Research Papers.
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paper9
2012Estimation of long memory in integrated variance.(2012) In: DEM Working Papers Series.
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This paper has another version. Agregated cites: 9
paper
2014Estimation of Long Memory in Integrated Variance.(2014) In: Econometric Reviews.
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This paper has another version. Agregated cites: 9
article
2014Volatility jumps and their economic determinants In: CREATES Research Papers.
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paper30
2016Volatility Jumps and Their Economic Determinants.(2016) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 30
article
2014Chasing volatility - A persistent multiplicative error model with jumps In: CREATES Research Papers.
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paper8
2014Chasing Volatility. A Persistent Multiplicative Error Model With Jumps.(2014) In: Marco Fanno Working Papers.
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This paper has another version. Agregated cites: 8
paper
2014Indirect inference with time series observed with error In: CREATES Research Papers.
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paper2
2018Indirect inference with time series observed with error.(2018) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 2
article
2019Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach In: Working Papers.
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paper2
2018Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows In: Papers.
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paper3
2016Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 3
paper
2005Artificial regression testing in the GARCH-in-mean model In: Econometrics Journal.
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article1
2010Efficient importance sampling maximum likelihood estimation of stochastic differential equations In: Computational Statistics & Data Analysis.
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article5
2010Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis In: Computational Statistics & Data Analysis.
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article9
2008Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis.(2008) In: MPRA Paper.
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This paper has another version. Agregated cites: 9
paper
2020Structural analysis with mixed-frequency data: A model of US capital flows In: Economic Modelling.
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article1
2015Testing for no factor structures: On the use of Hausman-type statistics In: Economics Letters.
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article1
2015Inference on factor structures in heterogeneous panels In: Journal of Econometrics.
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article6
2012Inference on Factor Structures in Heterogeneous Panels.(2012) In: DEM Working Papers Series.
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This paper has another version. Agregated cites: 6
paper
2014Inference on Factor Structures in Heterogeneous Panels.(2014) In: DEM Working Papers Series.
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This paper has another version. Agregated cites: 6
paper
2017Chasing volatility In: Journal of Econometrics.
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article2
2019A two-stage estimator for heterogeneous panel models with common factors In: Econometrics and Statistics.
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article5
2014A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors.(2014) In: DEM Working Papers Series.
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This paper has another version. Agregated cites: 5
paper
1995A multivariate GARCH model for exchange rates volatility. In: LIUC Papers in Economics.
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paper0
2015Long Memory and Periodicity in Intraday Volatility In: Journal of Financial Econometrics.
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article24
2012Long memory and Periodicity in Intraday Volatility.(2012) In: DEM Working Papers Series.
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This paper has another version. Agregated cites: 24
paper
2011Conditional jumps in volatility and their economic determinants In: Marco Fanno Working Papers.
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paper5
2012Independent Factor Autoregressive Conditional Density Model In: DEM Working Papers Series.
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paper12
2015Independent Factor Autoregressive Conditional Density Model.(2015) In: Econometric Reviews.
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This paper has another version. Agregated cites: 12
article
2014Testing for no factor structures: on the use of average-type and Hausman-type statistics In: DEM Working Papers Series.
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paper0
2008Euro corporate bonds risk factors In: MPRA Paper.
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paper13
2013EURO CORPORATE BOND RISK FACTORS.(2013) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 13
article
2008Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study In: MPRA Paper.
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paper0
2010Univariate GARCH models: a survey (in Russian) In: Quantile.
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article2
2002Hedging interest rate risk with multivariate GARCH In: Applied Financial Economics.
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article6
2013A No?Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges In: Journal of Futures Markets.
[Citation analysis]
article13

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